Obradovic, Lazar: Locally Constant Model Uncertainty Risk Measure. In: . Jg.609. 2019
Inhalt
- Introduction
- Representation of the LCAN Risk Measure
- Definition
- Connection with Average Value-at-Risk
- Maximizing Measure
- Comparison with Average Value at Risk
- Optimal Portfolio Analysis
- Model
- Loss and Risk Measures
- Optimization Problems and Merton portfolio
- Sensitivity of Optimal Portfolios to the Choice of Risk Measures
- Conclusion
- Corollary of the Generalized Version of Neyman-Pearson Lemma
- Proofs of theorems 1 and 2
- Calculations for AVaR and LCMU for a Log-Normally Distributed Position
- Details on Optimal Portfolios